Robust min-max portfolio strategies for rival forecast and risk scenarios
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J., 2013. "Size matters: Optimal calibration of shrinkage estimators for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3018-3034.
- Costa, O. L. V. & Paiva, A. C., 2002. "Robust portfolio selection using linear-matrix inequalities," Journal of Economic Dynamics and Control, Elsevier, vol. 26(6), pages 889-909, June.
- Taboga, Marco, 2004. "A Simple Model of Robust Portfolio Selection," MPRA Paper 16472, University Library of Munich, Germany.
- Kakouris, Iakovos & Rustem, Berç, 2014. "Robust portfolio optimization with copulas," European Journal of Operational Research, Elsevier, vol. 235(1), pages 28-37.
- Gulpinar, Nalan & Rustem, Berc, 2007. "Worst-case robust decisions for multi-period mean-variance portfolio optimization," European Journal of Operational Research, Elsevier, vol. 183(3), pages 981-1000, December.
- repec:eee:eneeco:v:64:y:2017:i:c:p:158-169 is not listed on IDEAS
- Zymler, Steve & Rustem, Berç & Kuhn, Daniel, 2011. "Robust portfolio optimization with derivative insurance guarantees," European Journal of Operational Research, Elsevier, vol. 210(2), pages 410-424, April.
- Kai Ye & Panos Parpas & Berç Rustem, 2012. "Robust portfolio optimization: a conic programming approach," Computational Optimization and Applications, Springer, vol. 52(2), pages 463-481, June.
- Lutgens, F. & Sturm, J.F., 2002. "Robust One Period Option Modelling," Discussion Paper 2002-114, Tilburg University, Center for Economic Research.
- Miguel, Victor de & Martín Utrera, Alberto & Nogales, Francisco J., 2013. "Parameter uncertainty in multiperiod portfolio optimization with transaction costs," DES - Working Papers. Statistics and Econometrics. WS ws132119, Universidad Carlos III de Madrid. Departamento de Estadística.
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